Processes that can be Embedded in Brownian Motion

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February, 1978 Processes that can be Embedded in Brownian Motion

Itrel Monroe

Ann. Probab. 6(1): 42-56 (February, 1978). DOI: 10.1214/aop/1176995609

Abstract

A process is equivalent to a time change of Brownian motion if and only if it is a local semimartingale.

Itrel Monroe. "Processes that can be Embedded in Brownian Motion." Ann. Probab. 6 (1) 42 - 56, February, 1978. https://doi.org/10.1214/aop/1176995609

Published: February, 1978

First available in Project Euclid: 19 April 2007

MathSciNet: MR455113

Digital Object Identifier: 10.1214/aop/1176995609

Subjects:

Primary: 60J65

Secondary: 60G45

Keywords: Brownian motion , embeddings , Martingales , time changes

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Vol.6 • No. 1 • February, 1978

Institute of Mathematical Statistics